{"title":"计算金融中求解偏微分方程的快速高精度数值方法","authors":"Yin Wang, Kun Hua, Jun Zhang","doi":"10.1109/BCGIN.2011.84","DOIUrl":null,"url":null,"abstract":"We develop a new W-cycle multiscale multigrid method that can use the existing multilevel (different scale) grid hierarchy to approximate the sixth order solution of Poisson equation based on the fourth order discretization schemes. Richardson extrapolation procedure is used on the fine grid level in multigrid method. Numerical results are conducted to show the solution accuracy and the computational efficiency of our new method, compared to Wang-Zhang's sixth order multiscale multigrid method using V-cycle.","PeriodicalId":127523,"journal":{"name":"2011 International Conference on Business Computing and Global Informatization","volume":"36 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Fast and High Accuracy Numerical Methods for Solving PDEs in Computational Finance\",\"authors\":\"Yin Wang, Kun Hua, Jun Zhang\",\"doi\":\"10.1109/BCGIN.2011.84\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We develop a new W-cycle multiscale multigrid method that can use the existing multilevel (different scale) grid hierarchy to approximate the sixth order solution of Poisson equation based on the fourth order discretization schemes. Richardson extrapolation procedure is used on the fine grid level in multigrid method. Numerical results are conducted to show the solution accuracy and the computational efficiency of our new method, compared to Wang-Zhang's sixth order multiscale multigrid method using V-cycle.\",\"PeriodicalId\":127523,\"journal\":{\"name\":\"2011 International Conference on Business Computing and Global Informatization\",\"volume\":\"36 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-07-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2011 International Conference on Business Computing and Global Informatization\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/BCGIN.2011.84\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 International Conference on Business Computing and Global Informatization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/BCGIN.2011.84","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Fast and High Accuracy Numerical Methods for Solving PDEs in Computational Finance
We develop a new W-cycle multiscale multigrid method that can use the existing multilevel (different scale) grid hierarchy to approximate the sixth order solution of Poisson equation based on the fourth order discretization schemes. Richardson extrapolation procedure is used on the fine grid level in multigrid method. Numerical results are conducted to show the solution accuracy and the computational efficiency of our new method, compared to Wang-Zhang's sixth order multiscale multigrid method using V-cycle.
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